gmvarkit (1.0.3)

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Estimate Gaussian Mixture Vector Autoregressive Model.

Maximum likelihood estimation of Gaussian Mixture Vector Autoregressive (GMVAR) model, quantile residual tests, graphical diagnostics, forecasting and simulations. Applying general linear constraints to the autoregressive parameters is supported. Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2016) .

Maintainer: Savi Virolainen
Author(s): Savi Virolainen [aut, cre]

License: GPL-3

Uses: Brobdingnag, mvnfast, pbapply, testthat, knitr, rmarkdown

Released 7 months ago.

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